Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0497 |
| Annualized Std Dev | 0.1045 |
| Annualized Sharpe (Rf=0%) | 0.4754 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3103.0000 |
| NAs | 1.0000 |
| Minimum | -0.0670 |
| Quartile 1 | -0.0021 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0028 |
| Maximum | 0.0945 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0000 |
| Stdev | 0.0066 |
| Skewness | 1.3462 |
| Kurtosis | 44.6696 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0046 |
| Gain Deviation | 0.0055 |
| Loss Deviation | 0.0054 |
| Downside Deviation (MAR=210%) | 0.0100 |
| Downside Deviation (Rf=0%) | 0.0045 |
| Downside Deviation (0%) | 0.0045 |
| Maximum Drawdown | 0.1690 |
| Historical VaR (95%) | -0.0080 |
| Historical ES (95%) | -0.0147 |
| Modified VaR (95%) | -0.0019 |
| Modified ES (95%) | -0.0019 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-18 | 2020-03-19 | 2020-07-29 | -0.1690 | 114 | 23 | 91 |
| 2009-01-06 | 2009-03-09 | 2009-07-30 | -0.1569 | 143 | 43 | 100 |
| 2008-11-25 | 2008-11-26 | 2008-12-08 | -0.1027 | 9 | 2 | 7 |
| 2018-01-29 | 2018-12-24 | 2019-06-20 | -0.0964 | 351 | 229 | 122 |
| 2015-04-28 | 2016-01-20 | 2016-09-06 | -0.0929 | 344 | 185 | 159 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3 | -1.7 | -4.6 |
| 2009 | -0.7 | -0.5 | 0.4 | 1.4 | 1.4 | 0.4 | 0.4 | -1 | -0.9 | -1.1 | 0.9 | -0.4 | 0.3 |
| 2010 | 0.6 | 0.4 | 0.6 | -0.7 | -0.6 | 0 | 0.2 | 1.3 | 0.2 | 0.1 | 0.8 | 0.2 | 3 |
| 2011 | 0.5 | -0.3 | 0.4 | 0.2 | -0.6 | 0.6 | 0 | -0.2 | -0.6 | -0.8 | -0.3 | 0.1 | -1.1 |
| 2012 | 0.3 | 0.2 | 0.2 | 0.2 | -1.1 | 1 | 0 | 0.5 | 0.1 | 0.4 | 0.1 | 0.7 | 2.6 |
| 2013 | 0.2 | 0.3 | -0.3 | -0.4 | -0.9 | 0.4 | 0.4 | -0.2 | 0.4 | -0.3 | 0 | 0 | -0.4 |
| 2014 | -0.4 | -0.1 | 0.3 | 0.1 | 0.1 | 0.4 | -0.1 | 0.1 | -0.5 | 0.6 | -0.5 | -0.3 | -0.2 |
| 2015 | -0.6 | 0.2 | 0.3 | 0.1 | -0.2 | 0 | 0.4 | -1.5 | 0.1 | 0.1 | 0.6 | -0.4 | -0.8 |
| 2016 | -0.1 | 0.8 | -0.1 | -0.1 | -0.1 | 0.4 | -0.3 | 0.2 | 0.3 | -0.1 | -0.2 | 0 | 0.6 |
| 2017 | 0.2 | 0.2 | -0.2 | 0.2 | 0.1 | 0 | 0.3 | 0 | 0.3 | 0.2 | 0 | -0.1 | 1.3 |
| 2018 | -0.3 | -0.5 | 0.6 | -0.1 | 0.2 | 0.2 | -0.3 | -0.1 | 0.1 | 0.7 | 0.2 | 0.2 | 0.8 |
| 2019 | -0.1 | 0.2 | 0.2 | -0.2 | -0.1 | 0.5 | 0 | 0.1 | -0.5 | 0.6 | -0.2 | 0.2 | 0.8 |
| 2020 | -0.7 | -0.1 | -1.8 | -1.2 | 0.4 | 0.3 | 0.1 | 0.1 | 0.3 | -0.4 | 0.7 | 0 | -2.1 |
| 2021 | 0.7 | 1.1 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-11 23.9 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
2 2008-11-13 24 SPY 91.2 0.0623 0.0034 0.0128 -0.300 -0.383 -0.263 -0.143 GLD 72.2 0.0307 -0.001
3 2008-11-19 25.1 SPY 81.5 -0.0641 -0.0503 -0.150 -0.362 -0.436 -0.346 -0.215 GLD 72.3 -0.0034 0.0323
4 2008-11-20 23.4 SPY 75.4 -0.0742 -0.172 -0.168 -0.418 -0.468 -0.397 -0.280 GLD 73.4 0.0165 0.018
5 2008-11-21 23.0 SPY 79.5 0.0539 -0.082 -0.133 -0.374 -0.448 -0.368 -0.234 GLD 78.8 0.0735 0.0757
6 2008-11-24 25.1 SPY 85.0 0.0693 -0.0051 -0.0231 -0.332 -0.397 -0.327 -0.184 GLD 80.9 0.0261 0.114
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
